Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0024
Annualized Std Dev 0.1234
Annualized Sharpe (Rf=0%) 0.0193

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.0917
Quartile 1 -0.0037
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0040
Maximum 0.0626
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0078
Skewness -0.2677
Kurtosis 11.2773

Downside Risk

Close
Semi Deviation 0.0056
Gain Deviation 0.0056
Loss Deviation 0.0060
Downside Deviation (MAR=210%) 0.0110
Downside Deviation (Rf=0%) 0.0056
Downside Deviation (0%) 0.0056
Maximum Drawdown 0.2842
Historical VaR (95%) -0.0117
Historical ES (95%) -0.0182
Modified VaR (95%) -0.0116
Modified ES (95%) -0.0184
From Trough To Depth Length To Trough Recovery
1999-03-11 2008-10-09 2019-11-08 -0.2842 5202 2412 2790
2020-02-12 2020-03-23 2020-09-02 -0.2230 142 28 114
2021-02-11 2021-03-04 NA -0.1076 27 15 NA
2020-09-09 2020-10-22 2020-12-22 -0.0681 74 32 42
1999-01-06 1999-01-15 1999-03-09 -0.0566 43 8 35

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.2 -0.4 0.8 0.4 -0.4 1.2 -1.2 -0.8 0 0.5 0.9 0 2.1
2000 0 -0.5 0.5 0.9 1.8 0.4 0 0.4 0.4 -0.4 0 0 3.6
2001 0.6 0.5 0.6 0 1 0.3 -0.1 0.7 1 0 -0.4 0.4 4.6
2002 0.1 -0.5 0 1.5 -0.1 0.6 1.5 -0.1 -0.5 0.1 0.7 1.3 4.7
2003 0.6 -0.3 -0.7 1.1 -0.3 0.3 -1.5 -0.2 0 0.7 -1.2 -0.9 -2.3
2004 0.3 0.2 0.1 1.2 -0.6 0.3 0.5 0 -0.3 -0.8 -0.4 -0.1 0.4
2005 0.5 0.3 0.9 -0.3 0.8 -0.5 0.1 0.8 0.1 0.5 1.1 -0.2 4.1
2006 -0.5 0 -0.6 -1.7 0.8 1.2 1 0.4 -0.1 0.1 0.6 0.5 1.6
2007 -0.1 0.2 -0.7 -0.2 -0.5 0.7 -0.3 0.4 -0.1 0.3 1 0.4 1.1
2008 0.3 -0.3 0.1 0.7 0.1 -0.1 0.3 1.1 6.3 -1.2 1.8 1.2 10.5
2009 1.4 1.3 -0.5 -0.3 0.3 0 0.3 0.1 -1 -0.1 -0.1 0.4 1.9
2010 0.1 -0.1 0.2 0.6 -0.5 0.3 0.3 0.2 0.3 0.9 -0.9 2.1 3.5
2011 0.6 0.3 0.6 0.8 0.4 1.2 1.4 0.8 -0.2 -0.6 -0.3 0.4 5.6
2012 0.7 -0.1 -0.7 0.1 0 0.8 1 0.6 -0.1 -0.2 -0.1 0.8 2.9
2013 0.4 0.7 -0.3 0.6 -1.9 0.8 0 -0.2 0.2 0.3 -0.2 0.7 1
2014 -0.1 0.2 -0.5 0.7 0.2 -0.1 0.1 0.1 0.1 0.1 -0.1 0 0.8
2015 1.4 0 0.5 -0.6 0.1 -0.4 0.4 0.1 -0.3 -0.3 -0.1 0.2 0.9
2016 0.1 -0.4 -0.2 -0.1 0.9 -0.2 -0.1 0.4 0 -0.6 -0.4 0.8 0.1
2017 0.1 -0.6 0.2 0.1 0.1 0.3 0.5 -0.5 0.1 0.5 0 -0.5 0.4
2018 0.1 0 0.4 0.4 -0.3 -0.1 0.3 0.4 0 0.2 -0.5 0.9 1.9
2019 0.2 0.2 -0.3 0.6 -0.1 0 0.5 0.6 0.8 0.7 0.2 0.7 4.1
2020 -0.1 -2.7 -2 0 0.5 0.6 1.1 0.5 1.5 0.1 0.6 0.9 0.9
2021 1.4 -1.1 0.4 NA NA NA NA NA NA NA NA NA 0.7

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart